July 10, 2018

Quarterly Update – Q2 2018

An update on the work from Q2 2018.

The Standards Committee confirmed the timing and scope for Version 5.11. A first working draft is scheduled in September 2018 with a final Recommendation planned mid-2019. The schedule is in large part driven by regulatory requirements in the US and Europe. See the FpML roadmap.

Version 5.11 will see contributions from the following working groups:

  • Reporting WG (See the Charter)
  • Architecture WG (See the Charter)
  • Loan WG (See the Charter)
  • Cross-asset class product WG (See further below)

 

Coding Schemes Update

We published several sets of coding schemes on April 23, May 4, 17, June 29, July 6 and 10. The schemes that have been added or updated are:

  • Updated the existing floatingRateIndexScheme coding scheme to reflect the April 23, 2018 – ISDA Supplement 55 to the 2006 ISDA Definitions publication for the GBP-SONIA-COMPOUND floating rate option.
    • GBP-SONIA-COMPOUND replaces GBP-WMBA-SONIA-COMPOUND
  • Deprecated 4 floating rate codes to reflect the changes in ISDA Supplement 54 to the 2006 ISDA definitions. The codes are kept in FpML for backward compatibility purposes.
    • INR-MITOR-OIS-COMPOUND
    • INR-BMK
    • INR-INBMK-REUTERS
    • INR-CMT
  • Updated the floatingRateIndexScheme coding scheme to reflect the May 16, 2018 – ISDA Supplement 57 to the 2006 ISDA Definitions publication for the new Secured Overnight Financing Rate (SOFR) floating rate option.
    • USD-SOFR-COMPOUND
  • Updated the businessCentreScheme coding scheme to add a location for Minsk, Belarus (BYMI).
  • Updated the floatingRateIndexScheme coding scheme to add a new value “CLP-TNA” [“Refers to the Indice Camara Promedio (“ICP”) rate for Chilean Pesos which, for a Reset Date, is determined and published by the Asociacion de Bancos e Instituciones Financieras de Chile A.G. (“ABIF”) […]” For further details, see the Recommended EMTA-ISDA Market Practice – https://www.isda.org/a/JEoEE/SwapsCDsMP4.pdf]
  • Updated the settlementRateOptionScheme coding scheme to deprecate code “INR.RBIB/INR01” in favor of new value “INR.FBIL/INR01” to reflect the July 10, 2018 – ISDA amendments to Annex A – Indian Rupee Rate Source Definition.

Visit the Reference Data page for more information on the scheme publications at http://www.fpml.org/reference-data/ or http://www.fpml.org/spec/coding-scheme/.

 

FpML to ISIN JSON Generator Webinar

ISDA held a webinar June 12 for the FpML to ISIN JSON Generator. The generator, currently in Beta version, takes FpML credit and rates trades as input, extracts the necessary values from the relevant FpML data fields and generates the ANNA DSB-compliant JSON format which can be used to create or inquire about an ISIN through the DSB. As part of the conversion process the tool automatically derives the ISDA taxonomy based on the trade characteristics.

The recording and presentation are now available for viewing:

 

Call for Participation: FpML Cross Asset Class Product Working Group

The FpML Standards Committee approved the start of a new working group which will further develop and maintain the FpML product architecture. The FpML Cross Asset Class Product Working Group will deal with open product questions for all asset classes. In addition the group will be responsible for any product model extensions.

The charter of the working group which outlines the mission and the scope can be found at: FpML-5-11-cross-asset-class-product-wg-charter-2018a.pdf. Some of the items the group will initially focus on include:

  • Product maintenance and maintenance of the product reference data (coding schemes).
  • Product-agnostic TRS framework (in collaboration with the AWG).
  • Review of the product models for the CDM framework.
  • Review of the interest rate products as part of the new 2019 interest rate definitions (replacing the 2006 definitions).
  • Documentation for the 2006 IR definitions and 2014 Credit Definitions.

The kick-off meeting is planned the second half of July 2018.

To participate in the working group, please sign up at: http://www.fpml.org/join-working-groups (Click “Request” to be added to the “FpML-XAPWG: FpML Cross Asset Class Product Working Group”)

Working Group Chair – If you are interested in chairing the working group, or would like to recommend a colleague, please contact Karel Engelen (ISDA) at kengelen@isda.org.

For further questions, contact info@fpml.org.

 

FpML Training Courses

FpML Training Courses are planned in the fall. Please mark your calendar.

  • New York:
    • Tuesday October 16
    • Wednesday October 17
  • London
    • Wednesday December 5
    • Thursday December 6